Related papers: Partial Information in a Mean-Variance Portfolio S…
We consider distributed learning problem in games with an unknown cost-relevant parameter, and aim to find the Nash equilibrium while learning the true parameter. Inspired by the social learning literature, we propose a distributed…
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
Social-media platforms are one of the most prevalent communication media today. In such systems, a large amount of content is generated and available to the platform. However, not all content can be transmitted to every possible user at all…
We study a data marketplace where a broker intermediates between buyers, who seek to estimate the mean \(\mu\) of an unknown normal distribution \(\Ncal(\mu, \sigma^2)\), and contributors, who can collect data from this distribution at a…
We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…
We study a game between two firms in which each provide a service based on machine learning. The firms are presented with the opportunity to purchase a new corpus of data, which will allow them to potentially improve the quality of their…
This paper revisits the limitations of the Median Voter Theorem and introduces a novel framework to analyze the optimal economic ideological positions of political parties. By incorporating Nash equilibrium, we examine the mechanisms and…
We study the voting game where agents' preferences are endogenously decided by the information they receive, and they can collaborate in a group. We show that strategic voting behaviors have a positive impact on leading to the ``correct''…
The distribution of efficient individuals in the economy and the efforts that they will put in if they are hired, there are two important concerns for a technologically advanced firm. wants to open a new branch. The firm does not have…
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming.…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete…
In multi-agent autonomous systems, deception is a fundamental concept which characterizes the exploitation of unbalanced information to mislead victims into choosing oblivious actions. This effectively alters the system's long term…
Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
We study a common-pool resource game where the resource experiences failure with a probability that grows with the aggregate investment in the resource. To capture decision making under such uncertainty, we model each player's risk…